You probably should run the wave shield -and- the GPS module/shield independently from each other and from the Arduino. Leave the Arduino running with its power input to its regulator. Build a small board that has two 7805 regulators on it, and an input for power (you are going to want to run off of 9 VDC - but -not- a 9V battery; it won't last). The power goes to the regulators, and each regulator supplies power to one of the boards (remember to add the proper caps for the regulators). Setting up a simple power supply/distribution like this will keep the extra load off the Arduino's voltage regulator (preventing possible sporadic reset issues), while giving each board/module its own 1 amp independent power supply.